There are many countries in the world, and their names start with various letters. However, no country name starts with the entire alphabet from "a" to "z".
This question is a bit of a trick, as it implies that a single country name could encompass all letters of the alphabet.
You might be thinking of the United States of America, which is often shortened to USA, or the United Kingdom, which is often shortened to UK. Both of these names have "a" and "z" within their full names.
However, no country name officially starts with "a" to "z" in its entirety.